Your email program will offer you different options when you setup your account:
POP is the most simple way. It just pulls the messages from the server and puts them on your computer. Most programs will allow you to "keep message for x days on server" in the advanced settings.
This might be useful if you work on more than one computer or use webmail too.
IMAP is a bit more sophisticated. It keeps the messages on the server and download a copy to your computer too.
Because it stores all messages, including the sent ones, on the server, it will take a lot more diskspace.
THe advantage is that if you use more than one computer, every message will be also on every computer. THis counts also for SENT items and folders you make.
EXCHANGE: the best email option. THe email works more or less like IMAP, storing everything on the server but it also connects Contacts and Calender and syncs this accross programs/computers/phones.
SMTP: is the name for the outgoing server protocol.